Handbook of Recent Advances in Commodity and Financial Modeling Quantitative Methods in Banking, Finance, Insurance, Energy and Commodity Markets /

• Corporate Author: SpringerLink (Online service)
• Other Authors: Consigli, Giorgio (Editor, http://id.loc.gov/vocabulary/relators/edt), Stefani, Silvana (Editor, http://id.loc.gov/vocabulary/relators/edt), Zambruno, Giovanni (Editor, http://id.loc.gov/vocabulary/relators/edt)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2018.
• Edition: 1st ed. 2018.
• Series: International Series in Operations Research & Management Science, 257
• Subjects: Operations research.; Decision making.; Macroeconomics.; Management science.; Operations Research/Decision Theory.; Macroeconomics/Monetary Economics//Financial Economics.; Operations Research, Management Science.

This handbook includes contributions related to optimization, pricing and valuation problems, risk modeling and decision making problems arising in global financial and commodity markets from the perspective of Operations Research and Management Science. The book is structured in three parts, emphas...

Table of Contents:

• Part 1. Risk Modeling
• 1. Directional Returns for Gold and Silver: A Cluster Analysis Approach.- 2. Impact of Credit Risk and Business Cycles on Momentum Returns.- 3. Drivers of LBO Operating Performance: An Empirical Investigation in Asia
• 4. Time varying Correlation: Key Indicator in Finance
• 5. Measuring Model Risk in the European Energy Exchange
• 6. Wine Futures: Pricing and Allocation as Levers against Quality Uncertainty
• 7. VIX Computation Based on Affine Stochastic Volatility Models in Discrete Time
• 8. Optimal Adaptive Sequential Calibration of Option Models
• 9. Accurate Pricing of Swaptions via Lower Bound
• 10. Portfolio Optimization Using Modied Herfindahl Constraint
• 11. Dynamic Asset Allocation with Default and Systemic Risks
• 12. Optimal Execution Strategy in Liquidity Framework Under Exponential Temporary Market Impact
• 13. Optimal Multistage Dened-benet Pension Fund Management
• 14. Currency Hedging for a Multi-national Firm.